Optimal and robust noncausal filter formulations

@article{Einicke2006OptimalAR,
  title={Optimal and robust noncausal filter formulations},
  author={Garry A. Einicke},
  journal={IEEE Transactions on Signal Processing},
  year={2006},
  volume={54},
  pages={1069-1077}
}
  • G. Einicke
  • Published 1 March 2006
  • Mathematics
  • IEEE Transactions on Signal Processing
The paper describes an optimal minimum-variance noncausal filter or fixed-interval smoother. The optimal solution involves a cascade of a Kalman predictor and an adjoint Kalman predictor. A robust smoother involving H/sub /spl infin// predictors is also described. Filter asymptotes are developed for output estimation and input estimation problems which yield bounds on the spectrum of the estimation error. These bounds lead to a priori estimates for the scalar /spl gamma/ in the H/sub /spl infin… 

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